How to keyframe a shapekey
Just by going by the description of your process for inserting keyframes it sounds like you are only creating 1 keyframe. 

The process to animate a property is to:


Set the value of the property (in this case the 'Value' property of the shapekey)
Insert a keyframe by pressing I with the cursor over the Value property.
Move to a different frame in the timeline.
Set the property to a new value.
Insert a second keyframe on the property.


Keyframes have to be inserted at every point in the timeline where you want the property to change to a specific value.